Never. You're safe. Everything is in flash ROM. Emails, addressbook, calendar. It's all stored in flash ROM on the fly. Even your saved email drafts too! You can yank the battery out, leave the BlackBerry aside for 2 months, put the battery back in, and all the data is still there!

That's a big advantage of BlackBerry over PocketPC and Smartphones. For other advantages, see the "Why BlackBerry?" article. Eventually, this will become a standard feature in even PocketPC and SmartPhone -- the new Treo650 and the Tungsten T3, now use a non-volatile filesystem, so it behaves like a BlackBerry in "never losing data".

The advice about "avoiding discharging" refers to something else: Preserving the health of the battery (i.e. your battery life will typically shorten to about 50-75% of its original, if you repeatedly fully discharge the battery every single time you use the BlackBerry for many months. So top off your BlackBerry whenever you can, especially when you go to bed.)